While traveling to San Felipe for a fishing trip Three Immigration Inspectors and myself a Customs Inspector spotted a "diamond" to the east. The object was over the Sea of Cortez or West of Ajo Arizona neer Puerto Penasco Mexico. Not much in this area. This "diamond" was bright white light and non wavering, and it did not move from it's position in the sky. We lost sight of it due to the road direction. I have traveled this rod many times prior to and after this incodent and have never seen this object before or since.